Nowcasting Norway
Copyright policy )Nowcasting Norway
We produce predictions of the previous, the current, and the next quarter of NorwegianGDP. To this end, we estimate a Bayesian Dynamic Factor model on a panel of 14variables (all followed closely by market operators) ranging from 1990 to 2011. By meansof a real time forecasting exercise we show that the Bayesian Dynamic Factor Model outperformsa standard benchmark model, while it performs equally well than the BloombergSurvey. Additionally, we use our model to produce annual GDP growth rate nowcast. Weshow that our annual nowcast outperform the Norges Bank’s projections of current yearGDP.
info:eu-repo/semantics/published
Prices, bayesian factor model, E37, Multiple or Simultaneous Equation Models: Time-Series Models, nowcasting, real-time forecasting; bayesian factor model; nowcasting, Forecasting and Other Model Applications, Business Fluctuations, and Cycles: Forecasting and Simulation, Finance internationale, Economie, Econométrie et méthodes statistiques :théorie et applications, real-time forecasting, C53, C32, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation, jel: jel:C53, jel: jel:C32, jel: jel:E37
Prices, bayesian factor model, E37, Multiple or Simultaneous Equation Models: Time-Series Models, nowcasting, real-time forecasting; bayesian factor model; nowcasting, Forecasting and Other Model Applications, Business Fluctuations, and Cycles: Forecasting and Simulation, Finance internationale, Economie, Econométrie et méthodes statistiques :théorie et applications, real-time forecasting, C53, C32, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation, jel: jel:C53, jel: jel:C32, jel: jel:E37
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